| Metric | EQW | ^DJI | SPY | MV (80d) | BL (80d) |
|---|---|---|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% | 100.0% | 93.0% | 99.0% |
| Cumulative Return | 408.02% | 320.26% | 539.04% | 1,217.43% | 407.87% |
| CAGR﹪ | 6.69% | 5.89% | 7.67% | 10.82% | 6.69% |
| Sharpe | 0.42 | 0.4 | 0.48 | 0.61 | 0.43 |
| Prob. Sharpe Ratio | 98.09% | 97.76% | 99.14% | 99.88% | 98.47% |
| Smart Sharpe | 0.39 | 0.38 | 0.45 | 0.57 | 0.41 |
| Sortino | 0.58 | 0.57 | 0.67 | 0.87 | 0.6 |
| Smart Sortino | 0.55 | 0.53 | 0.63 | 0.82 | 0.57 |
| Sortino/√2 | 0.41 | 0.4 | 0.48 | 0.61 | 0.43 |
| Smart Sortino/√2 | 0.39 | 0.38 | 0.45 | 0.58 | 0.4 |
| Omega | 1.08 | 1.08 | 1.09 | 1.12 | 1.09 |
| Max Drawdown | -59.82% | -53.78% | -55.19% | -38.8% | -58.23% |
| Max DD Date | 2008-11-20 | 2009-03-09 | 2009-03-09 | 2020-03-23 | 2008-11-20 |
| Max DD Period Start | 2007-11-01 | 2007-10-10 | 2007-10-10 | 2018-01-29 | 2007-11-01 |
| Max DD Period End | 2011-04-26 | 2013-03-04 | 2012-08-15 | 2021-04-01 | 2010-11-01 |
| Longest DD Days | 1453 | 2450 | 2404 | 2530 | 1423 |
| Volatility (ann.) | 20.79% | 18.55% | 19.53% | 20.15% | 19.16% |
| Calmar | 0.11 | 0.11 | 0.14 | 0.28 | 0.11 |
| Skew | -0.28 | -0.11 | -0.01 | -0.17 | -0.28 |
| Kurtosis | 12.33 | 12.25 | 11.16 | 14.79 | 14.48 |
| Expected Daily | 0.03% | 0.02% | 0.03% | 0.04% | 0.03% |
| Expected Monthly | 0.54% | 0.48% | 0.62% | 0.86% | 0.54% |
| Expected Yearly | 6.45% | 5.68% | 7.39% | 10.42% | 6.45% |
| Kelly Criterion | - | - | - | - | - |
| Risk of Ruin | - | - | - | - | - |
| Daily Value-at-Risk | -2.12% | -1.89% | -1.99% | -2.04% | -1.95% |
| Expected Shortfall (cVaR) | -3.77% | -3.77% | -3.77% | -3.77% | -3.77% |
| Max Consecutive Wins | - | - | - | - | - |
| Max Consecutive Losses | - | - | - | - | - |
| Gain/Pain Ratio | - | - | - | - | - |
| Gain/Pain (1M) | - | - | - | - | - |
| Payoff Ratio | - | - | - | - | - |
| Profit Factor | 1.08 | 1.08 | 1.09 | 1.12 | 1.09 |
| Common Sense Ratio | - | - | - | - | - |
| CPC Index | - | - | - | - | - |
| Tail Ratio | 0.93 | 0.96 | 0.92 | 0.96 | 0.93 |
| Outlier Win Ratio | 3.84 | 4.35 | 4.17 | 4.27 | 4.31 |
| Outlier Loss Ratio | 3.75 | 4.29 | 3.96 | 3.74 | 4.13 |
| MTD | 2.59% | 2.57% | 5.17% | 2.86% | 2.75% |
| 3M | 7.06% | 10.94% | 12.06% | 7.04% | 5.63% |
| 6M | 9.24% | 14.12% | 16.79% | 7.59% | 7.18% |
| YTD | 0.74% | 3.83% | 6.85% | 3.58% | 0.25% |
| 1Y | 11.09% | 18.42% | 29.36% | 10.37% | 7.89% |
| 3Y (ann.) | 3.56% | 6.31% | 10.76% | 13.39% | 2.97% |
| 5Y (ann.) | 5.78% | 9.1% | 14.72% | 8.84% | 4.94% |
| 10Y (ann.) | 3.72% | 9.29% | 12.72% | 4.86% | 3.26% |
| All-time (ann.) | 6.69% | 5.89% | 7.67% | 10.82% | 6.69% |
| Best Day | 14.86% | 11.37% | 14.52% | 15.73% | 13.69% |
| Worst Day | -12.09% | -12.93% | -10.94% | -15.13% | -11.36% |
| Best Month | 16.17% | 13.95% | 12.7% | 19.3% | 16.13% |
| Worst Month | -25.09% | -14.06% | -16.52% | -21.59% | -22.51% |
| Best Year | 56.84% | 26.5% | 32.31% | 68.98% | 55.89% |
| Worst Year | -44.11% | -33.84% | -36.79% | -25.63% | -42.08% |
| Avg. Drawdown | -3.4% | -2.3% | -2.04% | -3.47% | -2.91% |
| Avg. Drawdown Days | 55 | 46 | 32 | 47 | 51 |
| Recovery Factor | - | - | - | - | - |
| Ulcer Index | 0.16 | 0.14 | 0.17 | 0.14 | 0.15 |
| Serenity Index | 0.41 | 0.36 | 0.41 | 0.64 | 0.39 |
| Avg. Up Month | 4.94% | 3.6% | 3.79% | 5.21% | 4.57% |
| Avg. Down Month | -5.41% | -4.16% | -4.29% | -4.91% | -4.96% |
| Win Days | 53.4% | 53.12% | 54.29% | 53.85% | 53.42% |
| Win Month | 55.96% | 60.93% | 62.91% | 58.13% | 58.72% |
| Win Quarter | 62.38% | 65.35% | 70.3% | 61.62% | 65.0% |
| Win Year | 65.38% | 69.23% | 76.92% | 69.23% | 65.38% |
| Year | EQW | ^DJI | SPY | MV (80d) | BL (80d) |
|---|---|---|---|---|---|
| 1999 | 23.68 | 22.39 | 19.28 | 21.39 | 8.12 |
| 2000 | -13.41 | -4.22 | -7.41 | 9.90 | -13.65 |
| 2001 | -8.20 | -5.12 | -10.11 | -6.70 | -10.14 |
| 2002 | -9.89 | -15.11 | -20.83 | -2.39 | -4.15 |
| 2003 | 41.59 | 23.95 | 26.20 | 43.44 | 44.45 |
| 2004 | 26.02 | 3.69 | 10.78 | 43.60 | 23.87 |
| 2005 | 16.82 | -0.08 | 5.25 | 13.85 | 14.59 |
| 2006 | 29.10 | 15.58 | 15.21 | 29.36 | 30.28 |
| 2007 | 19.97 | 7.29 | 6.28 | 34.73 | 21.96 |
| 2008 | -47.06 | -34.13 | -37.36 | -21.76 | -44.31 |
| 2009 | 50.14 | 20.17 | 26.93 | 56.17 | 49.10 |
| 2010 | 20.58 | 11.76 | 15.63 | 23.41 | 21.98 |
| 2011 | -16.31 | 7.59 | 4.53 | -25.29 | -12.85 |
| 2012 | 22.81 | 7.69 | 15.64 | 2.44 | 21.13 |
| 2013 | 9.37 | 24.03 | 28.62 | 19.21 | 14.27 |
| 2014 | -4.15 | 7.84 | 13.27 | -3.86 | -4.01 |
| 2015 | -10.85 | -1.07 | 2.41 | -10.89 | -6.57 |
| 2016 | 9.23 | 13.38 | 12.18 | 12.12 | 6.12 |
| 2017 | 24.15 | 22.61 | 19.88 | 16.09 | 23.09 |
| 2018 | -12.80 | -4.20 | -3.23 | -6.87 | -13.78 |
| 2019 | 17.45 | 20.94 | 27.97 | 11.25 | 17.90 |
| 2020 | 11.12 | 13.82 | 22.47 | 1.65 | 6.76 |
| 2021 | 8.83 | 17.94 | 26.11 | 16.06 | 10.74 |
| 2022 | -6.52 | -7.24 | -17.13 | 22.37 | -9.11 |
| 2023 | 14.43 | 13.49 | 24.11 | 6.01 | 12.63 |
| 2024 | 0.83 | 3.81 | 6.73 | 3.63 | 0.32 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-01 | 2011-04-26 | -59.82 | 1273 |
| 2000-01-04 | 2003-12-26 | -41.42 | 1453 |
| 2018-01-29 | 2020-12-16 | -41.02 | 1053 |
| 2014-07-07 | 2017-07-25 | -31.03 | 1115 |
| 2011-05-02 | 2013-01-18 | -27.33 | 628 |
| 2022-01-13 | 2023-07-25 | -23.27 | 559 |
| 2006-05-10 | 2006-10-25 | -18.31 | 169 |
| 2007-07-16 | 2007-09-28 | -14.38 | 75 |
| 2013-05-09 | 2013-09-17 | -13.41 | 132 |
| 2004-02-18 | 2004-09-20 | -13.21 | 216 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2013-03-04 | -53.78 | 1973 |
| 2000-01-18 | 2006-10-02 | -37.85 | 2450 |
| 2020-02-13 | 2020-11-13 | -37.09 | 275 |
| 2022-01-05 | 2023-12-12 | -21.94 | 707 |
| 2018-10-04 | 2019-07-02 | -18.77 | 272 |
| 2015-05-20 | 2016-07-11 | -14.48 | 419 |
| 2018-01-29 | 2018-09-19 | -11.58 | 234 |
| 1999-08-26 | 1999-12-22 | -11.53 | 119 |
| 2007-07-20 | 2007-09-28 | -8.25 | 71 |
| 2014-01-02 | 2014-04-29 | -7.26 | 118 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2012-08-15 | -55.19 | 1772 |
| 2000-03-27 | 2006-10-25 | -47.52 | 2404 |
| 2020-02-20 | 2020-08-07 | -33.72 | 170 |
| 2022-01-04 | 2023-12-12 | -24.50 | 708 |
| 2018-09-21 | 2019-04-11 | -19.35 | 203 |
| 2015-07-21 | 2016-04-15 | -13.02 | 270 |
| 1999-07-19 | 1999-11-16 | -11.70 | 121 |
| 2018-01-29 | 2018-08-03 | -10.10 | 187 |
| 2020-09-03 | 2020-11-10 | -9.44 | 69 |
| 2000-01-20 | 2000-03-16 | -9.30 | 57 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-01-29 | 2021-04-01 | -38.80 | 1159 |
| 2011-02-08 | 2018-01-11 | -35.20 | 2530 |
| 2007-10-30 | 2009-06-11 | -33.63 | 591 |
| 2000-03-06 | 2002-03-01 | -29.42 | 726 |
| 2022-04-08 | 2022-12-12 | -27.97 | 249 |
| 2002-04-22 | 2003-06-13 | -21.61 | 418 |
| 2010-01-20 | 2010-09-07 | -19.97 | 231 |
| 2007-07-20 | 2007-09-28 | -18.02 | 71 |
| 2006-05-11 | 2006-10-03 | -14.76 | 146 |
| 2007-02-26 | 2007-04-02 | -14.59 | 36 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-01 | 2010-11-01 | -58.23 | 1097 |
| 2018-01-29 | 2021-01-07 | -39.40 | 1075 |
| 2000-01-04 | 2003-11-26 | -37.49 | 1423 |
| 2011-05-02 | 2013-03-06 | -27.05 | 675 |
| 2014-07-07 | 2017-06-01 | -25.86 | 1061 |
| 2022-02-10 | 2024-02-23 | -22.24 | 744 |
| 2006-05-10 | 2006-10-13 | -15.61 | 157 |
| 2004-02-18 | 2004-09-30 | -14.03 | 226 |
| 2007-07-13 | 2007-09-25 | -12.97 | 75 |
| 2013-05-09 | 2013-09-13 | -11.29 | 128 |